英文标题：
《Local risk-minimization with multiple assets under illiquidity with
applications in energy markets》
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作者：
Panagiotis Christodoulou, Nils Detering, Thilo Meyer-Brandis
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最新提交年份：
2018
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英文摘要：
We propose a hedging approach for general contingent claims when liquidity is a concern and trading is subject to transaction cost. Multiple assets with different liquidity levels are available for hedging. Our risk criterion targets a tradeoff between minimizing the risk against fluctuations in the stock price and incurring low liquidity costs. Following \\c{C}etin U., Jarrow R.A., and Protter P. (2004) we work in an arbitrage-free setting assuming a supply curve for each asset. In discrete time, following the ideas in Schweizer M. (1998) and Lamberton D., Pham H., Schweizer M. (1998) we prove the existence of a locally risk-minimizing strategy under mild conditions on the price process. Under stochastic and time-dependent liquidity risk we give a closed-form solution for an optimal strategy in the case of a linear supply curve model. Finally we show how our hedging method can be applied in energy markets where futures with different maturities are available for trading. The futures closest to their delivery period are usually the most liquid but depending on the contingent claim not necessary optimal in terms of hedging. In a simulation study we investigate this tradeoff and compare the resulting hedge strategies with the classical ones.
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中文摘要：
当流动性受到关注且交易受制于交易成本时，我们提出了一种针对一般或有权益的对冲方法。具有不同流动性水平的多个资产可用于对冲。我们的风险标准的目标是在最小化股票价格波动风险和降低流动性成本之间进行权衡。继U.、Jarrow R.A.和Protter P.（2004）之后，我们在无套利的环境下工作，假设每种资产的供给曲线。在离散时间内，根据Schweizer M.（1998）和Lamberton D.、Pham H.、Schweizer M.（1998）的思想，我们证明了在温和条件下价格过程存在局部风险最小化策略。在随机和时间相关的流动性风险下，我们给出了线性供给曲线模型下最优策略的闭式解。最后，我们展示了我们的套期保值方法如何应用于能源市场，在能源市场中，不同期限的期货可供交易。最接近交割期的期货通常是最具流动性的，但取决于或有权益，在对冲方面不一定是最优的。在模拟研究中，我们研究了这种权衡，并将由此产生的对冲策略与经典对冲策略进行了比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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